Order book imbalance
Updated
Order book imbalance is one of the oldest ideas in microstructure and one of the simplest to write down. It asks a single question: of the size resting near the price, how much is on the bid and how much is on the ask? The formula is standard and public. What is usually missing is a real measured value, so this page gives both.
What is order book imbalance?
Order book imbalance is the asymmetry between resting bid size and resting ask size near the price, usually written as bid minus ask over bid plus ask, which lands between minus one and plus one. It measures which side of the book is holding more size right now. It describes the posted book, not what the price will do next.
The formula
The standard definition takes the resting depth on the bid side and the resting depth on the ask side within some distance of the price, and normalises the difference:
- imbalance = (bid depth minus ask depth) divided by (bid depth plus ask depth)
- A value near plus one means almost all the near size is on the bid.
- A value near minus one means almost all of it is on the ask.
- A value near zero means the two sides are close to balanced.
The one thing that matters for the number to be meaningful is that both sides are measured over the same distance. Comparing bid size within 3% of the price against ask size within 30% would not be an imbalance, it would be a units mismatch. BlackForge exposes bands and ladder rungs at matching distances on each side so the inputs line up.
How BlackForge supplies the inputs
BlackForge does not publish a single imbalance column, because the honest value it adds is the measured inputs across the full universe, not a formula anyone can apply. It reports the buy-side depth bands (downDepth5 through downDepthFull), the sell-side depth bands (upDepth30 through upDepthFull), and the seven-rung order ladders on each side, per pair per window. You pick the distance and compute the ratio.
Here are two matching inputs for BTCUSDT on binance: the resting bid liquidity and the resting ask liquidity in the same 0 to 3% slice from the top of book, taken from the order ladders. Feed them into the formula above and you have the near-book imbalance for that window.
| Label | Value |
|---|---|
| Bid side, 0 to -3% | 41,527,341.586 |
| Ask side, 0 to +3% | 31,753,414.092 |
What imbalance tells you, and what it does not
Imbalance measures which side of the near book is heavier at a point in time. That is a structural fact about the posted book, and it is a cleaner one than a raw depth number because normalising to the range minus one to plus one makes it comparable over time on the same pair regardless of the total size on the book.
It does not predict price. A heavily bid-weighted book is not a promise of a rise, because the resting size that produced the reading can be pulled. Imbalance is a measurement of resting-size asymmetry, and it is distinct from order flow, which adds the executed tape and which side actually took liquidity. The book leaning one way and the trades going the other is a common and perfectly ordinary state.
Related columns
The inputs to imbalance are the bookWalls depth bands and the orderLadders rungs: buy-side bands and rungs on the bid, sell-side bands and rungs on the ask, at matching distances. All are measured per pair per closed five-minute window across nine spot venues, so you can compute the imbalance at whatever distance suits you.
See the full metric reference, or browse the glossary.
How is order book imbalance calculated?
Take the resting bid depth and the resting ask depth within the same distance of the price, subtract the ask from the bid, and divide by their sum. The result runs from minus one, when the size is all on the ask, to plus one, when it is all on the bid. The key requirement is that both sides use the same distance band.
Does imbalance predict price?
No. It is a measurement of the asymmetry in resting size at the moment the window closed. The size it counts can be cancelled before it trades, so a lopsided book is not a forecast. Imbalance describes the state of the posted book, which is one input among several, not a directional call on what happens next.
What size range should I use?
That is up to you, which is why BlackForge exposes bands and ladder rungs at several distances rather than a single fixed number. A near band, such as 0 to 3% from the top of book, captures the resting size closest to the current price. A wider band captures more of the resting book but includes size further from the price. Use the same band on both sides.
Is imbalance the same as order flow?
No. Imbalance is about resting book size, the orders that are posted but have not traded. Order flow adds the executed tape: which side actually took liquidity as trades printed. A book can be bid-heavy while the trades are mostly taker-sells, so the two measure different things and are best read together rather than as substitutes.